Thanks, that is clear now.
File names have two parts, the actual name, and the "file extension".
The file extension is the part after the dot in the file name, for example, if you save a Microsoft Word document file with the name "letter_to_mum", Microsoft Word will save it as "letter_to_mum.doc" or "letter_to_mum.docx" (depending on the version of MS Office). The letters ".doc" or ".docx" make up the file extension and they tell Windows what type of file it is.
The standard file extension for an MP3 file is ".mp3".
In your example you have confused Audacity by entering the name: "Synthesized Bach in W. Carlos Style -Stereo - YouTube1"
Audacity sees the dot in the name and thinks that you want the letters after the dot to be the file extension.
Of course ". Carlos Style -Stereo - YouTube1" is not a valid file extension, and certainly not the standard file extension for an MP3 file, so Audacity warns you that "Normally these files end in ".mp3""
The solution is simple, either don't use dots in file names (highly recommended) or, if you must use a dot, ensure that you add the correct file extension to the end of the file name. Thus, for this example you could enter:
"Synthesized Bach in W Carlos Style -Stereo - YouTube1"
or you could enter:
"Synthesized Bach in W. Carlos Style -Stereo - YouTube1.mp3"
As long as there are no dots in the name that you enter, Audacity will automatically add the correct file extension.
This picture:

is showing your file being exported - The MP3 export is working. However, because you included a dot in the name, Windows will see the file extension as ". Carlos Style -Stereo - YouTube1" and Windows has no idea what that "file type" is. Windows needs the file extension to tell it what type of file it is.
Generally it is best to only use normal letters, numbers, underscore "_" and the minus sign "-" in file names.
See here for more information about file names:
http://manual.audacityteam.org/o/man/fa ... extensions